Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 4.24 3.16 3.92
Market Cap (Millions USD) 1210.06 1192.24 1187
Predicted Beta 1.65 1.64 1.6
Idiosyncratic Volatility 0.85 0.91 0.89

Annualized return and volatility

IYY
Annualized Return 0.0617
Annualized Std Dev 0.1839
Annualized Sharpe (Rf=0%) 0.3358

Row

Daily Return Statistics

IYY
Observations 4995.0000
NAs 118.0000
Minimum -0.0937
Quartile 1 -0.0044
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0056
Maximum 0.1007
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0116
Skewness -0.1126
Kurtosis 7.7193

Downside Risk

IYY
Semi Deviation 0.0084
Gain Deviation 0.0083
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5516
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0281
Modified VaR (95%) -0.0173
Modified ES (95%) -0.0280
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-13 -0.5516 1133 364 769
2000-09-05 2002-10-09 2006-10-12 -0.4849 1562 534 1028
2018-09-21 2018-12-24 2019-04-16 -0.1987 144 66 78
2015-06-24 2016-02-11 2016-06-07 -0.1448 245 164 81
2012-04-03 2012-06-04 2012-08-17 -0.1001 97 43 54

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYY
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 0.3 0.0 -0.9 0.8 0 0.2
2001 -0.3 0.1 0.0 1.4 0.5 0.0 0.6 0.0 0.0 2.6 0.0 0 5.1
2002 -0.3 1.7 -0.3 0.4 0.0 -1.9 -2.7 0.0 4.4 1.8 0.0 0 2.9
2003 0.0 0.0 -0.1 0.1 0.0 0.2 -1.0 0.0 2.1 0.0 0.9 0 2.3
2004 0.0 0.9 0.4 0.0 0.1 -1.1 0.0 0.3 1.4 0.0 1.5 0 3.6
2005 0.7 0.6 -0.5 0.0 0.7 0.2 0.1 0.6 0.0 -0.3 1.2 0 3.2
2006 0.2 1.0 0.0 -0.6 1.3 0.0 -0.6 0.6 0.0 -0.6 -0.3 0 1.1
2007 0.8 -0.3 0.0 0.3 0.4 0.0 0.6 0.0 1.3 -2.4 0.0 0 0.6
2008 1.6 0.0 3.6 1.8 0.0 0.3 -0.4 0.0 -0.4 0.0 -8.8 0 -2.8
2009 0.0 0.0 1.8 0.5 2.8 0.4 0.0 -2.3 -2.5 0.0 1.2 0 1.7
2010 1.3 1.1 0.7 0.0 -2.0 -0.4 0.0 3.0 0.4 -0.1 2.1 0 6.2
2011 1.7 -1.6 0.4 0.0 -2.2 1.5 -0.5 -1.2 0.0 -2.7 -0.3 0 -4.9
2012 1.0 0.8 0.0 0.5 -2.5 0.0 -0.3 0.0 0.2 1.1 0.0 0 0.8
2013 1.0 0.3 -0.5 -0.9 0.0 0.9 1.2 0.0 0.9 0.2 0.0 0 3.0
2014 0.0 0.0 0.8 0.0 0.0 0.8 -0.3 0.0 -1.4 0.0 -0.8 0 -1.0
2015 0.0 0.0 -0.6 1.0 0.3 0.6 0.0 -2.9 0.1 0.0 0.9 0 -0.8
2016 0.2 2.4 0.6 0.0 0.2 0.2 -0.2 0.0 0.0 -1.0 -0.4 0 1.9
2017 0.0 1.3 0.0 0.4 0.8 0.0 0.2 0.2 0.0 0.1 -0.2 0 2.8
2018 0.0 -1.3 0.0 0.2 1.0 0.0 -0.1 0.0 0.3 1.2 0.0 0 1.3
2019 0.1 0.7 1.2 -0.7 0.0 0.7 -1.0 0.0 -1.3 1.0 0.0 0 0.6

Row

Rolling Performance Chart

Snail Trail Chart